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Article
Prophet Inequalities for Parallel Processes
Journal of Multivariate Analysis
  • Theodore P. Hill, Georgia Institute of Technology - Main Campus
  • D. P. Kennedy, University of Cambridge
Publication Date
11-1-1989
Abstract
Generalizations of prophet inequalities for single sequences are obtained for optimal stopping of several parallel sequences of independent random variables. For example, if {Xi, j, 1 ≤ i ≤ n, 1 ≤ j < ∞} are independent non-negative random variables, then E(sup Xi,j) ≤ (n + 1) max sup {E(Xi,t): t is a stop rule for Xi,1, Xi,2, ...} and this bound is best possible. Applications are made to comparisons of the optimal expected returns of various alternative methods of stopping of parallel processes.
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Citation Information
Theodore P. Hill and D. P. Kennedy. "Prophet Inequalities for Parallel Processes" Journal of Multivariate Analysis Vol. 31 Iss. 3 (1989) p. 236 - 243
Available at: http://works.bepress.com/tphill/3/